) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …

average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …

Volatility clustering is a well-known stylized feature of financial asset returns. This paper investigates asymmetric … pattern in volatility clustering by employing a univariate copula approach of Chen and Fan (2006). Using daily realized kernel … volatilities constructed from high frequency data from stock and foreign exchange markets, we find evidence that volatility …